of TTT on the liquidity of the constituent stocks. The empirical result coincides with the expectation of arbitrage … hypothesis that the liquidity of the constituents is increased after the introduction of TTT. Although both changing patterns … among categories of size and sector are not significantly different, most of the liquidity measures of smaller companies …

the abnormal returns and volatility changes of those component stocks. The empirical results show that, after the removal … volatility. To reduce the possible impact on volatility, the authorities may take the activity of margin transactions into …

-announcement volatility of stock returns is not significantly different from the post-announcement volatility. The results also indicate that …

never hide information in their works, as this impinges upon the information rights of other scholars. Such transparency is …

around 5%. Compared with the Chinese market, the US stock market has a higher β and a lower volatility. The annualized excess …